A classic dynamic asset allocation problem optimizes the expected final-time utility of wealth, for an individual who can invest in a risky stock and a risk-free bond, trading continuously in time. Recently, several authors considered the corresponding static asset allocation problem in which...

This paper considers statistical modeling of the types of claim in a portfolio of insurance policies. For some classes of insurance contracts, in a particular period, it is possible to have a record of whether or not there is a claim on the policy, the types of claims made on the policy, and the...

Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of hierarchical Bayesian paid–incurred claims models, combining the claims reserving...

The problem of the CGS requires no new tools of analysis. The precedent for including quantities of specific goods consumed by one person in the utility function of another person was established by Duesenberry (1949). Daly and Giertz (1972: 2) formalized the case in which simple awareness of...

John Virgo gave generously of himself and expected nothing in return. He inspired the same in others. The world has sadness as well as joy, but while he was here, he made it radiant. Copyright International Atlantic Economic Society 2013

Andrieu et al. (2010) prove that Markov chain Monte Carlo samplers still converge to the correct posterior distribution of the model parameters when the likelihood estimated by the particle filter (with a finite number of particles) is used instead of the likelihood. A critical issue for...